Tennis shoes can keep you out of a club, although I suspect it has more to do with whether they really want you there or not. You see it all, especially late at night. The women tend to dress better than the men.
It can be much colder in Madrid than Barca or Sevilla. I will be there in early February and will be taking 2 jackets.
If you want to impress the members of this
board, lose the olive oil and stock up on
"La Casera".